A wavelet-based MRA-EDCC-GARCH methodology for the detection of news and volatility spillover across sectoral indices : evidence from the Indian financial market
Anindya Chakrabarty; Anupam De; Gautam Bandyopadhyay
| Year of publication: |
2015
|
|---|---|
| Authors: | Chakrabarty, Anindya ; De, Anupam ; Bandyopadhyay, Gautam |
| Published in: |
Global business review. - New Delhi [u.a.] : Sage, ISSN 0972-1509, ZDB-ID 2004354-5. - Vol. 16.2015, 1, p. 35-49
|
| Subject: | Volatility spillovers | DCC-GARCH | wavelet analysis | multi-resolution analysis (MRA) | Volatilität | Volatility | Spillover-Effekt | Spillover effect | ARCH-Modell | ARCH model | Indien | India | Finanzmarkt | Financial market | Börsenkurs | Share price | Schätzung | Estimation | Zustandsraummodell | State space model |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011309952